Order Types and Deterministic Fills

OrderBook evaluates market, limit, stop, and stop-limit entry orders against bid/ask OHLC data. It records the fill time, bar index, and execution price, and can produce an entry signal compatible with PositionCollection.

Build a tiny deterministic market. The first candle crosses the prices used below, making the outcome easy to inspect.

from datetime import datetime, timedelta

from TradeTide import Market, Order, OrderBook, OrderSide, OrderType

market = Market()
start = datetime(2024, 1, 1, 9)
market.add_market_data(
    start,
    1.2000,  # ask open
    1.4000,  # ask high
    0.9000,  # ask low
    1.2000,  # ask close
    1.1998,  # bid open
    1.3998,  # bid high
    0.8998,  # bid low
    1.1998,  # bid close
)
market.add_tick(start + timedelta(minutes=1), ask_price=1.2002, bid_price=1.2000)

Place several orders. A buy limit receives its limit price or a better open; a buy stop receives its stop price or a worse open. A stop-limit first arms at the stop, then requires its limit to be reached.

orders = [
    Order("market", OrderSide.BUY, OrderType.MARKET, start),
    Order("limit", OrderSide.BUY, OrderType.LIMIT, start, limit_price=1.0000),
    Order("stop", OrderSide.BUY, OrderType.STOP, start, stop_price=1.3000),
    Order(
        "stop-limit",
        OrderSide.BUY,
        OrderType.STOP_LIMIT,
        start,
        stop_price=1.3000,
        limit_price=0.9500,
    ),
]

book = OrderBook(orders)
fills = book.process(market)

for fill in fills:
    print(f"{fill.order_id:10} {fill.time:%H:%M}  {fill.price:.4f}")

market     09:00  1.2000
limit      09:00  1.0000
stop       09:00  1.3000
stop-limit 09:00  0.9500

Convert fills into a long/short entry stream when connecting the order engine to the existing native position workflow.

signals = book.trade_signals(market)
print(signals)

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